Okay, my girlfriend and I loaded up Icewind Dale on Gameranger and started a co-op campaign after purchasing it today. Difficulty is set to the default "Normal". We went and talked to Hrothgar, went to the shop, grabbed some very basic equipment and set out to the south on our first quest. The boy warned of us attacking monsters, and so we went south-east a bit to a huge group of goblins who took us out without being injured once.

What are we doing wrong? We literally landed no hits on the goblins, and two of our characters died before even coming in contact with them. Having just started, we don't know anything about skills, spells, etc, or how to manage the party, but having been the very first encounter, we thought we might be able to survive it no problem. How wrong we were. >.>

Anyways, any tips on how to get started would be awesome. :D

Make sure everyone is using weapons that you put proficiency points into. If you put some points into ranged weapons on some of your characters, take advantage of that.

You might also want to talk to people around the town some more, as there are fairly easy quests which can get you some nice XP.

As TJM said, ranged weapons are handy. Try to give one to every character - slings are cheap.

You shouldn't try and fight large groups at the start of the game. Scout out new areas. Set the options so that the game pauses when you spot an enemy. Send one character, usually a tank out, and keep the rest back. When your scout spots some beasties, lure them back to the group and let loose with ranged fire. Rinse and repeat.

First of all, what's your party composition? Squishy characters like wizards, thieves, and bards should be kept away from the front likes, especially at the beginning (where a single hit can mean death). Give them ranged weapons and let them support your front-line tanks from a distance (when not using their spells and other abilities). Paladins, Fighters, and Rangers are your front-line tanks and damage dealers. Make sure they're equipped with whatever weapon you put proficiency points into, then equip them with the best armor you can get (and keep in mind that IWD uses 2nd Edition rules, so lower AC is better). Clerics and Druids are your support units- have them near your fighters so they can heal them if necessary, but try to keep them off the very front lines (clerics can actually be decent tanks, but they're not all that great offensively unless buffed with spells, so it's best to just keep them out of harm's way).

Also be sure you rolled characters with decent stats, and stats fitted to their classes (a fighter with 18 Int and only 8 Str isn't going to be very effective). It can sometimes take a while to roll a good party, but not doing so can make life very difficult through the rest of the game.

I'm pretty sure that the party is something similar to...Fighter, Paladin, Mage, Ranger, Thief, Cleric. We did the best we could with points based on what the tool tips said. However, we didn't mess with rolls much, and stats could always have been off from what they maybe should have been, and not fully understanding what each stat does in the D&D system (heresy, I know!) and how it benefits each class in terms of the available classes, with the exception of more basic classes like Fighter and Mage doesn't help much.

As far as weapons went, we made sure to give them weapons we put points into. I didn't, however, give the mage a sling, though she did give her ranger a bow.

We didn't really attempt to fight the large group right off the bat. To be honest, about 10 feet off the bridge to the south of the starter town (can't remember the name), we were under attack by the bow-wielding goblins. My mage was dead before we even reached the point where the high and low of the ridge crossed so that we were able to fight them. If there are better ways to go to get a bit more of a grasp on it, rather than heading straight for the missing caravan, I'd gladly accept advice there. Otherwise, what it sounds like is that it's a lot more tactical than we first anticipated, and we got crushed for not being careful about it.

I will try to give every character a sling, though.

Regarding stats:

For a straight-up melee class (fighter) things are pretty simple: you want high Str, high Dex, and high Con (other stats are much less important). Str gets you increased chance to hit in melee and increased damage. Dex improves your AC (and gives you increased chance to hit with ranged weapons). And Con gives you more HP each level. Good stats for a fighter if you're min/maxing would be 18/76+ Str, 18 Dex, 16+ Con, then 10-12 for Wis (just so your saves aren't terrible), with Int and Cha as dump stats. For a Ranger you'll want Wisdom to be a bit higher (either 14 or 16) for spellcasting. Paladins are a bit tricky as they require quite a few stats to be effective. In addition to wanting high Str/Dex/Con they also need a decent Wis score (14-16) for spellcasting, then a high Cha (16+) for the bonuses to saves and other abilities; Int is the only dump stat you have for a Paladin, unless they're your diplomat in which case you want a decent Int score as well. It can take quite a few rolls to get a good set of stats for a Paladin.

For Thieves you'll want to make sure they have 18 Dex, along with 15 Str so they can use some of the more powerful bows (duel-classing to fighter is also recommended to make a thief more useful in combat). Con should be at least 14. For a Bard similar stats to a thief apply, but you'll also want a Cha of 18.

For mages you'll want 18 Int for spellcasting, along with a decent Dex and Con 16+ so that they don't die in one hit. Str isn't important, but should be kept at at least 10-12 so they don't get overburdened too easily.

For Clerics and Druids you want 18 Wis for spellcasting, then 14-16 Dex and Con. You'll also want a decent Str (14-16) so they can wear decent armor without getting overburdened (you may also wish to give a Druid a few Fighter levels so they're more durable and better in combat).

Also, a few notes on duel-classing and multi-classing. Duel classing means that you start the game as one class, then at some point stop gaining levels in that class and for the rest of the game gain levels in another class. Only humans can duel-class. Multi-classing means that a character starts the game with two classes, but levels up more slowly in each class. For thieves a thief-figher multi-class tends to work pretty well, but for nearly all other combinations duel-classing is the better option. The most common thing to do is start some of the weaker classes (mages, clerics, and druids) as fighters, then after gaining three levels (which lets you get a third-level weapon proficiency) duel-class them to whatever their intended class is. Note, though, that to duel-class you need an ability score of 15 for your starting class's primary ability (e.g. a Str of 15 for a fighter), and an ability score of 17 for the class you're dueling to (e.g. 17 Int for a mage, or 17 Wis for a cleric or druid). Again, remember that only humans can duel-class.

Couple of corrections to the above:

Wisdom has no effect on your saves in the Infinity Engine games, despite what the manual says. It's much better to dump that in order to max out Con.

Paladins' and Rangers' spellcasting is not affected by Wis, so you can dump that to the minimum (which isn't very low, min 13 for a pally!).

You do want Cha for your Paladin, but not for spellcasting. Their minimum for Cha is 17, meaning they are the best suited to be your diplomat. Might as well take advantage of it. Int only has an effect in one or two non-crucial conversations, so you don't need it that high.

For any class other than Fighters, Rangers, or Paladins, they don't gain any benefit from Con beyond 16. Additionally, Con, Str, and Dex only start providing benefits once they reach 15, meaning that if you can't reach 15 in Dex or Con, don't even bother raising it past 10 or so. The exception is for the small races (dwarf, halfling, and gnome), who get save benefits for high Con, so it can be worth it to keep Con high even if it isn't high enough for HP bonuses.

Alright, thanks for the advice.

Just to be sure, what we did was take our four skill points and put them in 4 different places. That was a pretty bad move, wasn't it? Honestly, I thought that you could only put one point into each as you just started but after trying BG2 out, as well, I realized that wasn't the case.

It's not a huge deal, just pick one that you plan to continue using for each character and put more points into that one.

Okay, thanks.

Thanks for the corrections. I seem to always get a few aspects of the different rule sets mixed up.

The first thing you should do is setting the game difficulty to very easy and enable max hint points per level in the game play options.

It's very important that every party member has a ranged weapon so you don't have to walk across the screen before you are able to attack.

It's not worth having a pure class thief in the party, fighter/thief multiclass can handle all thieving and fight much better.

Character stats are important, only a extreme values do make a difference, in most stats 13-14 isn't better than 7. Retry until you get a good roll, lower the useless stats to the minimum and raise the important ones to the maximum.

The physical stats str, dex and con are important for everyone while mental stats are quite useless, int is only useful for mages and bards, wis is only useful for clerics and druids, one character should have 18 cha for shopping but for the rest those stats are useless.

For the fighter, ranger, paladin fighter/thief multiclass optimal stats are quite simple 18/00 str, 18 dex and 18 con (17 dex and 19 con for dwarves), the other stats can be lowered to the racial or class minimums, even stats as low as 2-3 won't hurt.
If you can't get 18/00 (short for 18/100) str you can accept lower second values but the higher they are the better.

For the cleric get 18 str, 18 dex, 18 wis and 16+ con, int and cha are useless.

For the mage definitely get 18 dex, 18 int and 16+ con, with 10 wis you'll avoid a lore penalty and can identify a few items without spells, try to get 18 str if possible, cha is useless.

Start cleric and mage with missile weapon proficiency and the other 4 characters specialized in a melee weapon and bows, composite long bows are extremely powerful, eventually replace bow specialization with missile specialization for one character if you want a tank with shield and/or for another character replace with crossbow specialization for variety but composite long bows do by far the most ranged damage.

Try to get AC as low as possible to get hit less often, a +1,+2,+3,+4 ... in item and spell descriptions means improvement and actually lowers the value, the same applies to thac0 which should be as low as possible to improve the chance to hit.

Have a stealthed character (preferably a Fighter/Thief who can backstab to soften up the opposition) scout ahead. Make sure to use Auto Pause so that the game pauses the instant you spot an enemy.
Then have your tank move in for the kill, while your other characters use missiles weapons.
Concentrate on any enemies using bows first, and keep your mage out of reach of missile wielding enemies.

Just another note, but due to how damage and hitpoints work in D&D, you do NOT want to get into combat at level 1. One crit, or even a good hit, from a goblin archer can kill many characters, and two can kill the rest. At level two you are literally twice as durable as at level 1. There are a bunch of no-fighting quests available in the starting village. Make sure to do all of them before you fight the goblins. It will help tremendously.

Tiny note on the goblins you tried to fight; they are hilariously difficult before you've done everything you can do in the starting town. So much, that you usually lose at least one partymember before the fight is over, that's just one of the quirks in the game. Slightly annoying, but placement of characters and a bit of micromanaging usually help alot.